Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0257
Annualized Std Dev 0.1494
Annualized Sharpe (Rf=0%) -0.1723

Row

Daily Return Statistics

Close
Observations 4044.0000
NAs 1.0000
Minimum -0.1272
Quartile 1 -0.0031
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0033
Maximum 0.1734
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0094
Skewness -0.0733
Kurtosis 66.9141

Downside Risk

Close
Semi Deviation 0.0068
Gain Deviation 0.0077
Loss Deviation 0.0084
Downside Deviation (MAR=210%) 0.0118
Downside Deviation (Rf=0%) 0.0069
Downside Deviation (0%) 0.0069
Maximum Drawdown 0.5415
Historical VaR (95%) -0.0106
Historical ES (95%) -0.0211
Modified VaR (95%) -0.0030
Modified ES (95%) -0.0030
From Trough To Depth Length To Trough Recovery
2005-03-15 2020-03-18 NA -0.5415 4033 3779 NA
2005-03-08 2005-03-08 2005-03-10 -0.0010 3 1 2
2005-03-11 2005-03-11 2005-03-14 -0.0010 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA 0.1 -0.6 -2.1 0.5 0.7 0 0.4 0.8 0.1 -0.6 0.2 -0.5
2006 -0.2 0.4 -0.1 0.2 0.4 0.4 0.1 -0.2 -1 -0.5 0.5 0.6 0.4
2007 0.9 0.1 -0.3 -0.6 -0.4 0.2 -0.5 1.5 0.8 -1 0.5 0.1 1.2
2008 -0.4 -1.6 1.7 -0.1 0.4 0.1 0.6 0.2 3.5 0.9 -3 1.5 3.7
2009 -1 -2.4 1.5 1.4 0.9 0.3 0.6 -0.1 -0.7 -0.7 0.5 -0.5 -0.3
2010 0.4 0.2 0.4 0.5 1.1 -0.6 0.2 0.1 -0.4 0.5 0.5 0.6 3.6
2011 1 -0.5 -0.2 0.2 0.2 0.1 1.2 0 -0.7 -0.6 -0.3 -0.8 -0.4
2012 0 -0.5 0.4 0.5 -0.8 0 0.4 0.5 0.4 0.3 -1.1 -0.3 -0.2
2013 0 -0.3 -0.6 -0.5 -1.8 -0.9 -0.9 0 -0.3 -0.3 -0.2 -0.5 -6.2
2014 -0.4 -0.1 0.3 0.1 0.1 -0.2 0.3 0.2 -0.3 0 -0.1 0.8 0.6
2015 0.5 0.8 -0.2 0.3 -0.1 0.9 0.4 0.8 -1.3 1 0 0.8 3.9
2016 0.1 0.8 0.4 0.1 0.1 0.4 -0.1 -0.1 1.2 -0.2 -0.2 0.4 2.8
2017 -0.5 0.1 1.4 -0.4 0 0.7 -0.2 0 0.3 -0.2 0.1 0.3 1.7
2018 -0.1 -1.2 0.5 0 0.1 0.4 -0.3 -0.9 0.3 0.6 0.2 -0.8 -1.2
2019 0.1 0.3 -0.5 0.5 0.5 -1.3 0.4 0.1 1.2 0 0 0.4 1.8
2020 0.1 -3.8 -2.9 -1.2 0.9 0.2 0.2 0.5 0.3 -0.1 -0.2 -0.1 -6.1
2021 0.2 1.1 0.4 NA NA NA NA NA NA NA NA NA 1.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-02-24  20   SPY    120.  0.0066  -0.008    0.0287   0.0176   0.0467   0.0789  -0.130  GLD    43.3 -0.0021   0.019 
2 2005-02-25  20   SPY    121.  0.0099   0.01     0.0358   0.0252   0.0565   0.0918  -0.103  GLD    43.5  0.0039   0.018 
3 2005-02-28  20   SPY    121. -0.0066   0.002    0.0273   0.0193   0.0488   0.0804  -0.106  GLD    43.5  0.0005   0.018 
4 2005-03-01  20.0 SPY    121.  0.005    0.0222   0.0324   0.029    0.0436   0.0907  -0.112  GLD    43.2 -0.0069  -0.008 
5 2005-03-02  20.0 SPY    121. -0.0005   0.0144   0.0255   0.0278   0.0493   0.0653  -0.0945 GLD    43.2  0.0007  -0.0039
6 2005-03-03  20.0 SPY    121.  0.0004   0.0082   0.0194   0.0167   0.0478   0.0473  -0.0908 GLD    43.0 -0.0065  -0.0083
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart